/// <summary>
/// Returns the max of the feerates calculated with a 60%
/// threshold required at target / 2, an 85% threshold required at target and a
/// 95% threshold required at 2 * target.Each calculation is performed at the
/// shortest time horizon which tracks the required target.Conservative
/// estimates, however, required the 95% threshold at 2 * target be met for any
/// longer time horizons also.
/// </summary>
public FeeRate EstimateSmartFee(int confTarget, FeeCalculation feeCalc, bool conservative)
{
lock (this.lockObject)
{
if (feeCalc != null)
{
feeCalc.DesiredTarget = confTarget;
feeCalc.ReturnedTarget = confTarget;
}
double median = -1;
EstimationResult tempResult = new EstimationResult();
// Return failure if trying to analyze a target we're not tracking
if (confTarget <= 0 || confTarget > this.longStats.GetMaxConfirms())
{
return(new FeeRate(0)); // error condition
}
// It's not possible to get reasonable estimates for confTarget of 1
if (confTarget == 1)
{
confTarget = 2;
}
int maxUsableEstimate = MaxUsableEstimate();
if (confTarget > maxUsableEstimate && maxUsableEstimate > 1)
{
confTarget = maxUsableEstimate;
}
if (feeCalc != null)
{
feeCalc.ReturnedTarget = confTarget;
}
if (confTarget <= 1)
{
return(new FeeRate(0)); // error condition
}
Guard.Assert(confTarget > 0); //estimateCombinedFee and estimateConservativeFee take unsigned ints
// true is passed to estimateCombined fee for target/2 and target so
// that we check the max confirms for shorter time horizons as well.
// This is necessary to preserve monotonically increasing estimates.
// For non-conservative estimates we do the same thing for 2*target, but
// for conservative estimates we want to skip these shorter horizons
// checks for 2*target because we are taking the max over all time
// horizons so we already have monotonically increasing estimates and
// the purpose of conservative estimates is not to let short term
// fluctuations lower our estimates by too much.
double halfEst = EstimateCombinedFee(confTarget / 2, HalfSuccessPct, true, tempResult);
if (feeCalc != null)
{
feeCalc.Estimation = tempResult;
feeCalc.Reason = FeeReason.HalfEstimate;
}
median = halfEst;
double actualEst = EstimateCombinedFee(confTarget, SuccessPct, true, tempResult);
if (actualEst > median)
{
median = actualEst;
if (feeCalc != null)
{
feeCalc.Estimation = tempResult;
feeCalc.Reason = FeeReason.FullEstimate;
}
}
double doubleEst = EstimateCombinedFee(2 * confTarget, DoubleSuccessPct, !conservative, tempResult);
if (doubleEst > median)
{
median = doubleEst;
if (feeCalc != null)
{
feeCalc.Estimation = tempResult;
feeCalc.Reason = FeeReason.DoubleEstimate;
}
}
if (conservative || median == -1)
{
double consEst = EstimateConservativeFee(2 * confTarget, tempResult);
if (consEst > median)
{
median = consEst;
if (feeCalc != null)
{
feeCalc.Estimation = tempResult;
feeCalc.Reason = FeeReason.Coservative;
}
}
}
if (median < 0)
{
return(new FeeRate(0)); // error condition
}
return(new FeeRate(Convert.ToInt64(median)));
}
}
/// <summary>
/// Calculate a feerate estimate. Find the lowest value bucket (or range of buckets
/// to make sure we have enough data points) whose transactions still have sufficient likelihood
/// of being confirmed within the target number of confirmations.
/// </summary>
/// <param name="confTarget">Target number of confirmations.</param>
/// <param name="sufficientTxVal">Required average number of transactions per block in a bucket range.</param>
/// <param name="successBreakPoint">The success probability we require.</param>
/// <param name="requireGreater">Return the lowest feerate such that all higher values pass minSuccess OR return the highest feerate such that all lower values fail minSuccess.</param>
/// <param name="nBlockHeight">The current block height.</param>
/// <returns></returns>
public double EstimateMedianVal(int confTarget, double sufficientTxVal, double successBreakPoint,
bool requireGreater, int nBlockHeight, EstimationResult result)
{
// Counters for a bucket (or range of buckets)
double nConf = 0; // Number of tx's confirmed within the confTarget
double totalNum = 0; // Total number of tx's that were ever confirmed
int extraNum = 0; // Number of tx's still in mempool for confTarget or longer
double failNum = 0; // Number of tx's that were never confirmed but removed from the mempool after confTarget
int periodTarget = (confTarget + this.scale - 1) / this.scale;
int maxbucketindex = this.buckets.Count - 1;
// requireGreater means we are looking for the lowest feerate such that all higher
// values pass, so we start at maxbucketindex (highest feerate) and look at successively
// smaller buckets until we reach failure. Otherwise, we are looking for the highest
// feerate such that all lower values fail, and we go in the opposite direction.
int startbucket = requireGreater ? maxbucketindex : 0;
int step = requireGreater ? -1 : 1;
// We'll combine buckets until we have enough samples.
// The near and far variables will define the range we've combined
// The best variables are the last range we saw which still had a high
// enough confirmation rate to count as success.
// The cur variables are the current range we're counting.
int curNearBucket = startbucket;
int bestNearBucket = startbucket;
int curFarBucket = startbucket;
int bestFarBucket = startbucket;
bool foundAnswer = false;
int bins = this.unconfTxs.Count;
bool newBucketRange = true;
bool passing = true;
EstimatorBucket passBucket = new EstimatorBucket();;
EstimatorBucket failBucket = new EstimatorBucket();
// Start counting from highest(default) or lowest feerate transactions
for (int bucket = startbucket; bucket >= 0 && bucket <= maxbucketindex; bucket += step)
{
if (newBucketRange)
{
curNearBucket = bucket;
newBucketRange = false;
}
curFarBucket = bucket;
nConf += this.confAvg[periodTarget - 1][bucket];
totalNum += this.txCtAvg[bucket];
failNum += this.failAvg[periodTarget - 1][bucket];
for (int confct = confTarget; confct < this.GetMaxConfirms(); confct++)
{
extraNum += this.unconfTxs[Math.Abs(nBlockHeight - confct) % bins][bucket];
}
extraNum += this.oldUnconfTxs[bucket];
// If we have enough transaction data points in this range of buckets,
// we can test for success
// (Only count the confirmed data points, so that each confirmation count
// will be looking at the same amount of data and same bucket breaks)
if (totalNum >= sufficientTxVal / (1 - this.decay))
{
double curPct = nConf / (totalNum + failNum + extraNum);
// Check to see if we are no longer getting confirmed at the success rate
if ((requireGreater && curPct < successBreakPoint) ||
(!requireGreater && curPct > successBreakPoint))
{
if (passing == true)
{
// First time we hit a failure record the failed bucket
int failMinBucket = Math.Min(curNearBucket, curFarBucket);
int failMaxBucket = Math.Max(curNearBucket, curFarBucket);
failBucket.Start = failMinBucket > 0 ? this.buckets[failMinBucket - 1] : 0;
failBucket.End = this.buckets[failMaxBucket];
failBucket.WithinTarget = nConf;
failBucket.TotalConfirmed = totalNum;
failBucket.InMempool = extraNum;
failBucket.LeftMempool = failNum;
passing = false;
}
continue;
}
// Otherwise update the cumulative stats, and the bucket variables
// and reset the counters
else
{
failBucket = new EstimatorBucket(); // Reset any failed bucket, currently passing
foundAnswer = true;
passing = true;
passBucket.WithinTarget = nConf;
nConf = 0;
passBucket.TotalConfirmed = totalNum;
totalNum = 0;
passBucket.InMempool = extraNum;
passBucket.LeftMempool = failNum;
failNum = 0;
extraNum = 0;
bestNearBucket = curNearBucket;
bestFarBucket = curFarBucket;
newBucketRange = true;
}
}
}
double median = -1;
double txSum = 0;
// Calculate the "average" feerate of the best bucket range that met success conditions
// Find the bucket with the median transaction and then report the average feerate from that bucket
// This is a compromise between finding the median which we can't since we don't save all tx's
// and reporting the average which is less accurate
int minBucket = Math.Min(bestNearBucket, bestFarBucket);
int maxBucket = Math.Max(bestNearBucket, bestFarBucket);
for (int j = minBucket; j <= maxBucket; j++)
{
txSum += this.txCtAvg[j];
}
if (foundAnswer && txSum != 0)
{
txSum = txSum / 2;
for (int j = minBucket; j <= maxBucket; j++)
{
if (this.txCtAvg[j] < txSum)
{
txSum -= this.txCtAvg[j];
}
else
{
// we're in the right bucket
median = this.avg[j] / this.txCtAvg[j];
break;
}
}
passBucket.Start = minBucket > 0 ? this.buckets[minBucket - 1] : 0;
passBucket.End = this.buckets[maxBucket];
}
// If we were passing until we reached last few buckets with insufficient data, then report those as failed
if (passing && !newBucketRange)
{
int failMinBucket = Math.Min(curNearBucket, curFarBucket);
int failMaxBucket = Math.Max(curNearBucket, curFarBucket);
failBucket.Start = failMinBucket > 0 ? this.buckets[failMinBucket - 1] : 0;
failBucket.End = this.buckets[failMaxBucket];
failBucket.WithinTarget = nConf;
failBucket.TotalConfirmed = totalNum;
failBucket.InMempool = extraNum;
failBucket.LeftMempool = failNum;
}
this.logger.LogInformation(
$"FeeEst: {confTarget} {(requireGreater ? $">" : $"<")} " +
$"{successBreakPoint} decay {this.decay} feerate: {median}" +
$" from ({passBucket.Start} - {passBucket.End}" +
$" {100 * passBucket.WithinTarget / (passBucket.TotalConfirmed + passBucket.InMempool + passBucket.LeftMempool)}" +
$" {passBucket.WithinTarget}/({passBucket.TotalConfirmed}" +
$" {passBucket.InMempool} mem {passBucket.LeftMempool} out) " +
$"Fail: ({failBucket.Start} - {failBucket.End} " +
$"{100 * failBucket.WithinTarget / (failBucket.TotalConfirmed + failBucket.InMempool + failBucket.LeftMempool)}" +
$" {failBucket.WithinTarget}/({failBucket.TotalConfirmed}" +
$" {failBucket.InMempool} mem {failBucket.LeftMempool} out)");
if (result != null)
{
result.Pass = passBucket;
result.Fail = failBucket;
result.Decay = this.decay;
result.Scale = this.scale;
}
return(median);
}
/// <summary>
/// Return an estimate fee according to horizon
/// </summary>
/// <param name="confTarget">The desired number of confirmations to be included in a block</param>
public FeeRate EstimateRawFee(int confTarget, double successThreshold, FeeEstimateHorizon horizon, EstimationResult result)
{
TxConfirmStats stats;
double sufficientTxs = SufficientFeeTxs;
switch (horizon)
{
case FeeEstimateHorizon.ShortHalfLife:
{
stats = this.shortStats;
sufficientTxs = SufficientTxsShort;
break;
}
case FeeEstimateHorizon.MedHalfLife:
{
stats = this.feeStats;
break;
}
case FeeEstimateHorizon.LongHalfLife:
{
stats = this.longStats;
break;
}
default:
{
throw new ArgumentException(nameof(horizon));
}
}
lock (this.lockObject)
{
// Return failure if trying to analyze a target we're not tracking
if (confTarget <= 0 || confTarget > stats.GetMaxConfirms())
{
return(new FeeRate(0));
}
if (successThreshold > 1)
{
return(new FeeRate(0));
}
double median = stats.EstimateMedianVal(confTarget, sufficientTxs, successThreshold,
true, this.nBestSeenHeight, result);
if (median < 0)
{
return(new FeeRate(0));
}
return(new FeeRate(Convert.ToInt64(median)));
}
}